Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0348
Annualized Std Dev 0.1847
Annualized Sharpe (Rf=0%) -0.1882

Row

Daily Return Statistics

Close
Observations 4086.0000
NAs 1.0000
Minimum -0.1873
Quartile 1 -0.0038
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0001
Quartile 3 0.0041
Maximum 0.1792
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0116
Skewness -1.0530
Kurtosis 47.1871

Downside Risk

Close
Semi Deviation 0.0087
Gain Deviation 0.0089
Loss Deviation 0.0108
Downside Deviation (MAR=210%) 0.0133
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.7053
Historical VaR (95%) -0.0136
Historical ES (95%) -0.0284
Modified VaR (95%) -0.0114
Modified ES (95%) -0.0114
From Trough To Depth Length To Trough Recovery
2007-05-30 2008-12-15 NA -0.7053 3478 392 NA
2005-01-05 2005-12-22 2007-05-07 -0.1603 587 245 342
2007-05-11 2007-05-11 2007-05-24 -0.0064 10 1 9
2004-12-29 2004-12-29 2005-01-03 -0.0005 4 1 3

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA NA NA 0 NA
2005 0 -0.2 1.6 0.6 0.1 -0.2 0.6 0.4 0.7 -0.4 0.2 -0.2 3.1
2006 0.3 0.7 0.6 0.5 1 0.3 0.2 0.8 0.4 0.5 0.9 0.5 7.1
2007 0.5 -0.3 0.1 0.1 0 -0.2 0 0.9 0.6 0.3 1 1.2 4.2
2008 -0.1 -0.9 1.9 1.5 -0.1 -0.7 1.1 -0.2 3.9 1.8 -10.9 -1.7 -4.8
2009 -1 -2 3.6 3.6 2.9 0.1 0.7 -2.5 -0.5 -0.4 0.9 -1.3 3.8
2010 1.7 0.6 1 -0.9 0.2 -0.9 1.6 0.8 1.6 1.4 0.3 0.5 8
2011 0.7 -0.3 0.7 -0.9 0.1 -0.1 3.5 1 0.7 -1.2 1.4 0 5.7
2012 -0.4 -0.5 1.2 0 -0.9 0.2 0.5 0.4 1.2 1.3 -0.6 2 4.4
2013 0.9 0.9 -0.4 -0.5 -2.1 -0.2 0.2 0.1 -0.1 -1.4 -0.5 0 -3.1
2014 0.3 0.7 -0.5 -0.5 -0.6 0 0 -0.5 0.3 0.2 0 1.3 0.8
2015 -0.3 0.1 -0.1 0.1 -0.5 0.6 -0.1 0.1 -0.9 -0.4 0.6 -0.2 -1
2016 -0.5 1 -0.5 0.3 0.4 1.2 -0.5 -0.1 0.7 -0.3 0.8 -0.2 2.2
2017 0.3 -0.6 0.2 0.2 -0.1 1.7 0.1 0 0.3 -0.3 0.2 0.6 2.7
2018 -0.1 0.3 0.2 0.6 0.2 0.1 0.1 0 0 0.4 -0.1 -0.7 0.9
2019 0.1 -0.8 0.8 0.6 -2.6 -0.3 -0.5 0.8 -0.1 -0.1 -1.2 1.3 -2.1
2020 -0.7 -4.4 -1.7 -1.4 1.3 0.8 0.3 5.5 0.1 -0.1 0.2 -0.9 -1.3
2021 0.8 0.8 1.1 NA NA NA NA NA NA NA NA NA 2.7

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2004-12-23  20   SPY    121.  0.0007 -3.00e-4   0.0221   0.0835   0.101    0.0506   -0.154 GLD    44.3  0.0057   0.0135
2 2004-12-27  20   SPY    121. -0.0021  9.00e-3   0.0176   0.0882   0.0994   0.0505   -0.149 GLD    44.5  0.0047   0.0066
3 2004-12-28  20.0 SPY    121.  0.0055  1.43e-2   0.0239   0.089    0.105    0.0505   -0.157 GLD    44.4 -0.0025   0.0007
4 2004-12-29  20   SPY    121.  0.0015  8.10e-3   0.0301   0.0851   0.0918   0.0457   -0.158 GLD    43.7 -0.016   -0.0127
5 2004-12-30  20   SPY    121. -0.0019  3.70e-3   0.0275   0.0838   0.0895   0.0442   -0.173 GLD    43.8  0.0039  -0.0043
6 2004-12-31  20   SPY    121. -0.0021  8.00e-4   0.0138   0.0635   0.0862   0.0575   -0.174 GLD    43.8 -0.0007  -0.0106
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart